Trend-Following Backtester · Guide · backtest 한국어
equity · US
Vir Biotechnology, Inc. backtest
10 trend-following strategies were compared on the full daily history of Vir Biotechnology, Inc.. 9 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 16.5%, MDD -55.7%).
Results by strategy
9 of 10 beat buy and hold (CAGR -3.6%, drawdown -94.8%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 31.0%, MDD -64.7%, Sharpe 0.69, 47% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 34.7%p higher than buy and hold, while drawdown improves by 30.1%p (CAGR 16.5%, MDD -55.7%, exposure 52%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=3, slow=14 |
31.0% | -64.7% | 0.69 | 0.48 | 6.4x | 145 | 47% |
| MACD fast=16, slow=23, signal=16 |
20.9% | -58.8% | 0.59 | 0.36 | 3.7x | 77 | 54% |
| Donchian 채널 돌파 entryN=7, exitN=10 |
16.5% | -55.7% | 0.54 | 0.30 | 2.9x | 73 | 52% |
| ADX / DI 방향성 period=14, threshold=12 |
11.0% | -75.0% | 0.49 | 0.15 | 2.1x | 117 | 54% |
| ROC 모멘텀 n=12, threshold=-0.03 |
10.3% | -86.7% | 0.47 | 0.12 | 2.0x | 211 | 55% |
| Parabolic SAR step=0.015, maxStep=0.36 |
10.8% | -83.6% | 0.46 | 0.13 | 2.0x | 111 | 47% |
| 볼린저 밴드 돌파 n=11, k=1.8 |
12.0% | -64.2% | 0.45 | 0.19 | 2.2x | 105 | 26% |
| Supertrend period=11, mult=2.3 |
7.0% | -74.8% | 0.40 | 0.09 | 1.6x | 65 | 45% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=13, mult=0.8 |
4.2% | -79.2% | 0.36 | 0.05 | 1.3x | 103 | 33% |
| EMA 크로스오버 fast=15, slow=27 |
-9.0% | -92.1% | 0.20 | -0.10 | 0.5x | 53 | 45% |
| Buy and hold | -3.6% | -94.8% | 0.40 | -0.04 | 0.8x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 3-day average price crosses above the 14-day average
- Sell — Sell (to cash) when the 3-day average falls below the 14-day average